Title : ( A NUMERICAL SCHEME OF HIGHER ORDER FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS )
Authors: Ali Reza Soheili , Somayeh Sarvari ,
Full TextAbstract
We consider the numerical approximation of stochastic partial differential equation driven by additive space-time white noise. we introduce a new numerical scheme for the time discretization of the finite-dimensional SPDE, which we call the exponential Euler scheme, then present a theorem, which state the strong convergence of the above numerical scheme.
Keywords
parabolic stochastic partial differential equation; Galerkin approximation; exponential Euler.
@inproceedings{paperid:1020623,
author = {Soheili, Ali Reza and Somayeh Sarvari},
title = {A NUMERICAL SCHEME OF HIGHER ORDER FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS},
booktitle = {19th Mathematical Seminar On the Analysis and its applications},
year = {2011},
location = {بابلسر-مازندران, IRAN},
keywords = {parabolic stochastic partial differential equation; Galerkin approximation; exponential Euler.},
}
%0 Conference Proceedings
%T A NUMERICAL SCHEME OF HIGHER ORDER FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
%A Soheili, Ali Reza
%A Somayeh Sarvari
%J 19th Mathematical Seminar On the Analysis and its applications
%D 2011
